Late SOFR/Treasury Option Roundup

Treasury calls dominated Friday's trade volume, with some sporadic 5- and 10Y puts outlined below. Continued 10Y midcurve call trade has paper buying over 100,000 wk2 10Y 110.75 calls that expire on April 12, covering the next employment report on April 5, CPI on April 10 and PPI the day after. Meanwhile, underlying futures discounted yesterday's flash PMI inflation build, trading back near highs for the week while projected rate cut pricing gained ground: May 2024 at -16.5 vs. -14.5% this morning w/ cumulative -4.1bp at 5.286%; June 2024 -69.3% vs. -64.1% earlier w/ cumulative rate cut -21.5bp at 5.113%. July'24 cumulative at -33.5bp vs. -31.5bp.

• Treasury Options: (April options expire today)
  • +20,000 FVK4 103.5 puts, 1
  • +18,000 Wednesday weekly/wk 4 TY 112 calls, 1 ref 110-23
  • Block, +12,000 Wednesday weekly/wk 4 TY 111.75 calls, 2 vs. 110-25
  • 3,500 FVJ4 107 puts, 0.5 ref 107-04
  • +10,000 TYM4 114.5 calls, 12
  • +20,000 TYK4 114/114.5 call strip, 10 vs. 110-25.5/0.10%
  • 4,500 TYM4 107.5/109 3x2 put spds ref 110-17.5 to -18
  • 50,000 WK2 TY 110.75 calls, 37 vs. 110-18/0.45% (expire Apr 12)
  • 15,000 TYK4 109.5/110.5 2x1 put spds, 1 ref 110-19
  • -15,000 FVJ4 106.75/107.25 put spds, 21.5-15.5
  • -5,000 TYK4 109.5 puts, 20 vs. 110-24.5/0.30%
  • Over 5,500 TYJ4 110.5 puts, 4 last
  • Over 5,200 TYK4 111 calls, 39 last
• SOFR Options:
  • 2,000 SFRM4 94.75/94.81/97.87 put flys, ref 94.915
  • -2,000 SFRZ4 94.50/94.75/95.00/95.25 put condors, 5.5 vs. 95.515/0.10%
  • +5,000 SFRM4 95.25/95.75/96.25 call flys, 0.5
  • +10,00 SFRU4 95.37 calls, 14.0 vs. 95.205/0.34%
  • 2,000 0QM4 96.50/97.00 call spds ref 95.98
  • 2,000 SFRK4 94.87/95.00 2x1 put spds
  • 3,000 SFRK4 94.75 puts, 1.5 last